I've just played a game as Mexico, and I've some observations on it.
I annexed Texas right away. Texas is a thorn in Mexico's side, and without Texas it's much easier. Perhaps too easy. I fought 0 wars against the US.
When I declined the treaty of Velasco the USA did not intervene, and I continued the war against Texas - for about 2 weeks, since they only had Houston left, and annexed them. The game is cleverly setup to allow this, giving Texas 3 starting provinces.
From that point on I built up my military and my industry, avoided wars with Europe - including the pastry war.
I kept all of the non-core provinces, although with the exception of Texas they were all almost useless as they had such few population.
The population of Mexico has been changed, and I presume it's now more accurate. The effect of this is that Mexico will have around 60% national population, even with a full citizenship party in power. There's provinces with massive amount of non-Mexicans that will never switch over to being Mexican. I managed to manipulate it so that other than an officer pop in Texas, and a few native pops in empty provinces I had everything Mexican. But I don't think the AI is likely to ensure that all non-Mexicans are unemployed craftsmen so that they migrate

I don't know my Mexican history very well so I don't know if it's the intention for Mexico to have such a large native population that never switches over.
Annexing Texas avoided any kind of border tension with the US that I was aware of. The events all have Mexico declaring war on the USA, it's rare that USA directly declares, and as long as Mexico keeps a large enough military score USA will keep sweet. Perhaps this is a little too good to be true though, and even though the game is going a-historically then perhaps in 1846, should Mexico own Texas then there should be some kind of rebellion or potential for US/Mexican war? Simply ignoring the treaty of Velasco and annexing Texas seems a bit too simple a way for Mexico to completely avoid any US wars.
After 1850 Mexico can build relations with USA without California seceeding, and that seemed to be enough to seal my ownership of California, New Mexico etc.
However I did not receive parts of Texas from Cherokee. Can't work out why. Perhaps because I didn't receive Dallas and the rest of Texas coming to me from Cherokee maybe depends on this.
There's a key civil war in Mexico, I found it would have been almost impossible to stop, plus as I'd just had democracy whipped out from under me I let the civil war happen, and democracy was restored. As far as I can tell this is the historical path, and there didn't seem to be any events to switch other than having a real revolution. The result of this though was that Apache stopped being my satellite, and eventually, many years later USA declared war on them. Perhaps Apache should be restored as a Mexican satellite any time it isn't as long as USA haven't bought their territory or had the Guadalupe Hidalgo treaty.
Deseret declares independence from Apache, which is in the Mexican "sphere" however it immediately becomes a US satellite. I'm not sure if this is intentional. Mexico thereby loses this territory - unless they declare war on Deseret and the USA. Perhaps they shouldn't declare independence if Mexico manages to keep hold of all it's land?
USA continues to have cores on land they've never owned, nor have any national population in. It's fair enough for Manifest Destiny to apply to this land when it's essentially empty and contested. However if Mexico manages to keep hold of it, doesn't sell it, and doesn't lose a war to the US then perhaps USA should lose those cores, perhaps by 1870. In addition the Guadalupe Hidalgo treaty might have an earlier finish date. If the USA had not done it in 1848 then is it still realistic for it in 1895 when things were considerably different, and Mexico wasn't a brand new nation?
Edit : A bit I meant to say.
Historically Mexico was desperate to attract immigrants, but failed. Even with all of California (reduced) gold mines, 80% pluracy, and a full citizenship/secularized liberal party in power Mexico gets 0 immigrants.
I'm not sure of the exact reasons why Mexico historically failed to attract immigrants. Perhaps it was because they didn't have land with as much potential as the US, perhaps because they lost wars to the US, perhaps because Texas and California rebelled. But in a game where Mexico survives in tact then perhaps the new liberal government should institute some reforms, so that Mexico can attract at least some immigration.
As it stands it seems a little bit unfair on Mexico that it can end up with a population in California of around 100K, while all the USA has to do is own it and it's bursting at the seams with immigrants. Also, perhaps the California gold rush event that kicks off Californian immigration for the US should also happen for Mexico. Although it won't cause immigration for them.